Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1986
Annualized Std Dev 0.4169
Annualized Sharpe (Rf=0%) 0.4765

Row

Daily Return Statistics

Close
Observations 3260.0000
NAs 1.0000
Minimum -0.1799
Quartile 1 -0.0103
Median 0.0023
Arithmetic Mean 0.0011
Geometric Mean 0.0007
Quartile 3 0.0137
Maximum 0.2166
SE Mean 0.0005
LCL Mean (0.95) 0.0002
UCL Mean (0.95) 0.0020
Variance 0.0007
Stdev 0.0263
Skewness -0.1886
Kurtosis 6.9068

Downside Risk

Close
Semi Deviation 0.0191
Gain Deviation 0.0181
Loss Deviation 0.0206
Downside Deviation (MAR=210%) 0.0229
Downside Deviation (Rf=0%) 0.0186
Downside Deviation (0%) 0.0186
Maximum Drawdown 0.8330
Historical VaR (95%) -0.0417
Historical ES (95%) -0.0638
Modified VaR (95%) -0.0399
Modified ES (95%) -0.0688
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2012-09-06 -0.8330 1249 400 849
2020-02-20 2020-03-18 2020-08-04 -0.5940 116 20 96
2018-09-28 2018-12-24 2019-04-23 -0.3841 138 57 81
2015-08-05 2016-02-09 2016-12-07 -0.3037 265 121 144
2018-01-29 2018-04-02 2018-07-13 -0.2188 100 43 57

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 0.4 -1.5 -1.6 3 0.6 -0.4 3.3 1.2 -5.2 3.4 0.1 2.9
2008 3.6 -8.6 6.5 4.4 0.1 -0.5 1.2 -1.8 1.3 11 -14.3 3.8 4.4
2009 -5.4 0.7 2.8 -2.2 7.2 1 -0.8 -2.5 -3.3 -4.7 2.4 -1.8 -7
2010 2.4 2.9 1 -3.1 -3 0.9 1.6 6.2 0.4 -0.9 3.1 -0.3 11.4
2011 3.1 -3 1.4 0.3 -3.6 3.8 -1.3 -1.5 -1.6 -3.8 -0.1 -0.7 -7.1
2012 2.5 1 2 2.3 -3.4 5.3 -1.4 0.5 1.9 1.9 0.7 2.3 16.5
2013 1.2 0.5 -0.8 -0.1 -2.1 0.7 1.7 0.2 1.6 0.2 0.5 1.2 4.8
2014 -1.8 0.1 2.3 1 0.5 2.5 -0.6 -0.8 -3.3 2.3 -2.5 -1 -1.5
2015 0.1 -1.4 -1.6 3.4 0 1.5 1.2 -5.2 0 0.1 1.2 -1.6 -2.5
2016 0.4 0.9 1.8 -1.9 0.5 2.7 0.2 0 0.3 0.8 -1.9 -2.5 1.1
2017 1.5 0.9 0.1 1.3 3.6 1.7 0.3 1.1 -0.3 0.4 0.5 -0.4 11.2
2018 -2.1 -3.4 -5 -2.3 1.3 0 -1 0.9 -0.4 2.8 -0.7 1.6 -8.3
2019 -2.4 1.1 2.3 -1.5 -2.3 1.3 -2 -0.6 -1.3 1.2 -1.1 0.2 -5
2020 0.4 -4.7 -7.1 -7.3 2.9 3.7 0.9 2.3 2.6 -6.1 2.4 0 -10.5
2021 3.2 3.2 1.7 NA NA NA NA NA NA NA NA NA 8.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01  8.97 SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2 6.00e-3   0.0181
2 2007-02-05  8.97 SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3 5.00e-4   0.0085
3 2007-02-08  9.04 SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5 1.38e-2   0.0046
4 2007-02-09  8.88 SPY    144. -7.40e-3  -0.006    0.017    0.0385    0.137    0.257    0.332 GLD    66.1 9.20e-3   0.0286
5 2007-02-14  8.95 SPY    146.  6.60e-3   0.0028   0.0185   0.0533    0.152    0.259    0.311 GLD    66.4 8.00e-3   0.0269
6 2007-02-15  9.02 SPY    146.  1.30e-3   0.0054   0.0194   0.0521    0.141    0.266    0.299 GLD    66.4 6.00e-4   0.0136
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart